This repository contains resources relevant to the project "A Numerical Scheme for the Optimal Liquidation Problem Under Jump Diffusion Dynamics on High-Frequency Data."
The project focuses on solving the optimal stopping time problem for an investor who aims to liquidate an asset based on a stop-loss level. The value function for this problem is modeled as a free-boundary problem, solved in a manner similar to pricing an American option. Given the dynamics of the stock price, which includes jumps, no closed-form solutions existed at the time. Therefore, I used finite differences and quadrature methods to obtain an estimate.
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Research PDF: Includes a literature review, methodology, and a numerical example.
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Python Code to Obtain Cointegrated Pair: Python code used for retrieving and analyzing cointegrated pairs.
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R Code (Jupyter Notebook) for Methodology Implementation: R code implemented in a Jupyter notebook to execute the methodology for solving the optimal stopping problem.